Assuming you're running on Windows, a .BAT file is probably easiest. Put the command line you use to start your program in there, something likejava -classpath ... MyProgram parameters .... Double-clicking a BAT file will run it.

There's a little more to it than that. You also need to make sure your JAR file is executable. To see how to do this, check out this thread. As mentioned above, this question has been asked a billion times here before. For future reference, you should use the Search Tool to see if someone has already posted your question previously. Be sure to search the "Java in General (beginner)" and "Java in General (intermediate)" forums as well as this one.